Showing 1 - 10 of 23
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. However, the estimator is severely biased when the data's time series dimension T is long due to the large degree of overidentification. We show that weak dependence along the panel's time...
Persistent link: https://www.econbiz.de/10014520814
Persistent link: https://www.econbiz.de/10010252381
This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random coefficients and endogenous regressors. The quantities of interest - means, variances, and other moments of the random coefficients - are estimated by cross sectional sample moments...
Persistent link: https://www.econbiz.de/10011757086
We present the clrbound, clr2bound, clr3bound, and clrtest commands for estimation and inference on intersection bounds as developed by Chernozhukov et al. (2013). The intersection bounds framework encompasses situations where a population parameter of interest is partially identified by a...
Persistent link: https://www.econbiz.de/10010357244
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are a variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10010459258
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10011525823
This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by conditional moment restrictions. We construct tests for the hypothesis that at least one element of the identified set satisfies a conjectured (Banach space) "equality" and/or (a...
Persistent link: https://www.econbiz.de/10011337665
This chapter presents key concepts and theoretical results for analyzing estimation and inference in high-dimensional models. High-dimensional models are characterized by having a number of unknown parameters that is not vanishingly small relative to the sample size. We first present results in...
Persistent link: https://www.econbiz.de/10011865610
This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions have zero derivative with respect to the first step and the first step does not affect the asymptotic variance. They are constructed by adding to the moment functions the...
Persistent link: https://www.econbiz.de/10011517194
We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the derivative with respect to first step nonparametric estimation is zero and equivalently first step estimation has no effect on the influence function. This construction consists of...
Persistent link: https://www.econbiz.de/10011824067